DividendVanillaOption (3) - Linux Manuals

DividendVanillaOption: Single-asset vanilla option (no barriers) with discrete dividends.

NAME

QuantLib::DividendVanillaOption - Single-asset vanilla option (no barriers) with discrete dividends.

SYNOPSIS

#include <ql/instruments/dividendvanillaoption.hpp>

Inherits QuantLib::OneAssetOption.

Classes

class arguments
Arguments for dividend vanilla option calculation
class engine
Dividend-vanilla-option engine base class

Public Member Functions

DividendVanillaOption (const boost::shared_ptr< StrikedTypePayoff > &payoff, const boost::shared_ptr< Exercise > &exercise, const std::vector< Date > &dividendDates, const std::vector< Real > &dividends)

Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const

Protected Member Functions

void setupArguments (PricingEngine::arguments *) const

Detailed Description

Single-asset vanilla option (no barriers) with discrete dividends.

Member Function Documentation

Volatility impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > & process, Real accuracy = 1.0e-4, Size maxEvaluations = 100, Volatility minVol = 1.0e-7, Volatility maxVol = 4.0) const

Warning

see VanillaOption for notes on implied-volatility calculation.

void setupArguments (PricingEngine::arguments *) const [protected, virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Option.

Author

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